4 edition of Interest-rate option models found in the catalog.
Interest-rate option models
Includes bibliographical references (p. -365) and index.
|Series||Wiley series in financial engineering|
|LC Classifications||HG6024.5.R43 1996|
|The Physical Object|
|Pagination||xxi, 372 p. :|
|Number of Pages||372|
|LC Control Number||96022784|
Black’s bond option valuation formula Duration and convexity Notation Summary References 15 Interest rate models Vasicek’s term structure model Valuing European options on zero-coupon bonds, Vasicek’s model Valuing European options on coupon bonds, Vasicek’s model ISBN: OCLC Number: Description: xxi, pages: illustrations ; 24 cm. Contents: 1. Definition and valuation of the underlying instruments Yield curve models: a statistical approach A motivation for yield curve models The analytic and probabilistic tools The conditions of no-arbitrage Lattice methodologies
An Empirical Comparison of Valuation Models for Interest Rate Derivatives Wolfgang Biihler, Marliese Uhrig, Ulrich Walter and Thomas Weber Summary Interest rate derivatives are much more difficult to value than stock paper discusses the basic approaches to price interest rate derivatives and presentsFile Size: 1MB. This model also is used to price options on interest rates and interest rate sensitive instruments such as bonds. Since the Black-Scholes analysis assumes constant (or deterministic) interest rates, and so forward interest rates are realised, it is di cult initially to see how this model applies to interest rate dependent Size: KB.
The book will most likely become one of the standard references in the area. if one were to buy only one book about interest rate models, this would be it." (David Skovmand and Michael Verhofen, Financial Markets and Portfolio Management, Vol. 21 (1), ). interest rates. These financial instruments include caps, floors, swaptions and options on coupon-paying bonds. The most common way to price interest rate derivatives such as caps and floors, is to adopt the Black-Scholes approach and to implement the Black () pricing model. Following an introduction to the structure of interest rate.
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: Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) (): Rebonato, Riccardo: BooksCited by: There is a newer edition of this item: Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) $ Only 1 left in stock - order soon.
Read more. Read by: Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Financial Engineering) by Riccardo Rebonato () [Riccardo Rebonato] on *FREE* shipping on qualifying offers.
The authors give a brief overview of structural models, emphasizing their similarities to barrier-free option models, but do not treat them in detail in the book, since they do not have any analogues to interest rate models. For credit risk, the defaultable zero coupon bond is the analog of the zero coupon bond for interest rate by: The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited.
This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities.
This accessible book narrows the information gap. Written in easy-to-follow, non-technical language, it logically reviews all the most commonly used interest rate option models, showing how each 5/5(1).
This is true in the U.S. market only 6% of the time in the last 50 years. Bob Jarrow's book shows in a very practical way how to model random interest rate movements in a way that is both accurate (i.e.
driven by multiple factors) and sensible (no arbitrage possible).Cited by: This accessible book narrows the information gap. Written in easytofollow, nontechnical language, it logically reviews all the most commonly used interest rate option models, showing how each one can be applied and implemented for specific market applications.
Interest Rate Option Models: Account Options Sign in. Nielsen Book Data Publisher’s Summary An interest rate option is a contract giving the beneficiary the right but not an obligation to pay or receive a specific interest rate on a predetermined principle for a set interval. Buy Interest-Rate Option Models: Understanding, Analyzing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) Second Edition 2nd Revised edition by Rebonato, Riccardo (ISBN: ) from Amazon's Book Store.
Everyday low prices and free delivery on /5(6). Interest-Rate Option Models 作者: Riccardo Rebonato 出版社: Wiley 副标题: Understanding, Analysing and Using Models for Exotic Interest-Rate Options 出版年: 页数: 定价: USD 装帧: Hardcover ISBN: Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Financial Engineering) by Rebonato, Riccardo and a great selection of related books, art and collectibles available now at Interest Rate Option Models by Riccardo Rebonato,available at Book Depository with free delivery worldwide/5(3).
5 PwC Interest rate risk in banking book: The way ahead IRRBB assumptions The behavioural maturities of instruments with behavioural options should be well supported by sound judgments and assumptions. All modelling assumptions should be conceptually sound and reasonable, and consistent with historical Size: KB.
His books include Interest-Rate Option Models and Volatility and Correlation in Option Pricing. "Rebonato's writing style is probably the most elegant I have ever seen in a quantitative finance book. His ideas are conveyed in a brief and clear manner.
Interest Rate Options: An investment tool whose payoff depends on the future level of interest rates. Interest rate options are both exchange traded and over-the-counter instruments.
Yield Book's interest rate models are calibrated using a term structure of volatility. This allows a more accurate evaluation of securities with embedded options (e.g., calls, puts, sinking funds, caps, floors, prepayments, etc.). • Interest rate risk in the banking book (IRRBB) was part of the Basel capital framework’s Pillar 2 (Supervisory Review Process) and subject to the BCBS’s guidance set out in the Principles for the management and supervision of interest rate risk.
The above models do not incorporate this distinction. This distinction is best handled by using the class of models directly developed for pricing interest rate contingent claims.
This is the topic of the next section. Pricing Interest Rate Options : Robert Jarrow. Mechanics of interest rate swaps The comparative-advantage argument Swap quotes and LIBOR zero rates Valuation of interest rate swaps Currency swaps Valuation of currency swaps Credit risk Summary Suggestions for further reading Questions and problems Assignment questions.
This book provides a self-contained study of this new approach for pricing and hedging ﬁxed-income securities and interest rate options. This new ap-proach uses modern option-pricing theory and is called the HJM model. The HJM model is used extensively in industry.
Heath, Jarrow, and Morton devel.The nominal short rate is the “shadow real interest rate” (as defined by the investment opportunity set) plus the inflation rate, or zero, whichever is greater.
Thus the nominal short rate is an option. Longer term interest rates are always positive, since the future short rate may be positive even when the current short rate is by: The Binomial Model. The binomial option pricing model is based upon a simple formulation for the asset price process in which the asset, in any time period, can move to one of two possible prices.
The general formulation of a stock price process that follows the binomial is shown in figure File Size: 75KB.